Walk forward optimization

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Walk forward optimization is a method used in finance to determine the optimal parameters for a trading strategy and to determine the robustness of the strategy. Walk Forward Analysis was presented by Robert E. Pardo in his book "Design, Testing and Optimization of Trading Systems" in 1992 and expanded in the second edition in 2008. Walk Forward Analysis is now widely considered the "gold standard" in trading strategy validation. The trading strategy is optimized with in-sample data for a time window in a data series. The remaining data is reserved for out of sample testing. A small portion of the reserved data following the in-sample data is tested and the results are recorded. The in-sample time window is shifted forward by the period covered by the out of sample test, and the process repeated. Lastly, all of the recorded results are used to assess the trading strategy. After the most suitable parameters are found, the system is run using another segment of data. The two segments of data...

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